Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0086 |
| Annualized Std Dev | 0.0808 |
| Annualized Sharpe (Rf=0%) | -0.1067 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2982.0000 |
| NAs | 1.0000 |
| Minimum | -0.0519 |
| Quartile 1 | -0.0029 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0031 |
| Maximum | 0.0242 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0051 |
| Skewness | -0.7006 |
| Kurtosis | 5.4465 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0038 |
| Gain Deviation | 0.0030 |
| Loss Deviation | 0.0038 |
| Downside Deviation (MAR=210%) | 0.0098 |
| Downside Deviation (Rf=0%) | 0.0038 |
| Downside Deviation (0%) | 0.0038 |
| Maximum Drawdown | 0.3164 |
| Historical VaR (95%) | -0.0082 |
| Historical ES (95%) | -0.0121 |
| Modified VaR (95%) | -0.0088 |
| Modified ES (95%) | -0.0172 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2020-03-23 | NA | -0.3164 | 2483 | 2232 | NA |
| 2010-04-16 | 2010-06-07 | 2010-09-21 | -0.0720 | 110 | 36 | 74 |
| 2010-11-05 | 2011-01-28 | 2011-04-28 | -0.0582 | 120 | 58 | 62 |
| 2010-01-12 | 2010-02-05 | 2010-04-09 | -0.0432 | 61 | 18 | 43 |
| 2009-11-27 | 2009-12-21 | 2010-01-11 | -0.0325 | 30 | 17 | 13 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | 0.2 | 0.8 | 0.4 | -0.6 | -0.8 | -0.9 | 1 | 0.4 | 0.5 |
| 2010 | 0.5 | 0.2 | 0.4 | -0.1 | -1 | 0.2 | 0 | 1.1 | 0.6 | 0.2 | 1 | 0.3 | 3.4 |
| 2011 | 1 | 0.1 | 0.6 | 0.3 | -0.1 | 0.4 | 0.1 | -0.1 | -1 | -1.5 | 0.3 | 0.1 | 0.2 |
| 2012 | 0.7 | 0.2 | 0.3 | 0.1 | -0.1 | 2 | 0 | 0.6 | 0.2 | 1.2 | -0.1 | 0.2 | 5.5 |
| 2013 | 0.5 | -0.3 | -0.2 | -0.4 | -0.3 | 0.4 | -0.4 | 0.3 | 0.4 | -0.9 | 0.5 | 0.6 | 0.3 |
| 2014 | 0.1 | 0.6 | 0.1 | 0.4 | -0.2 | 0 | -0.4 | -1.3 | -0.1 | -0.9 | -0.2 | -0.4 | -2.4 |
| 2015 | -0.5 | -0.1 | 0.4 | -0.6 | -0.7 | -0.2 | -0.2 | -0.2 | -0.5 | 0.5 | 0.5 | 0.5 | -1.1 |
| 2016 | 0.3 | 1.1 | 0 | 0.3 | -0.1 | 0.8 | -0.5 | 0.2 | 0.3 | -0.4 | -0.1 | -0.3 | 1.6 |
| 2017 | 0.1 | -0.1 | -0.4 | 0.2 | 0.2 | 0.1 | -0.3 | 0.1 | 0.1 | -0.2 | 0.2 | 0.2 | 0.3 |
| 2018 | 0.1 | -0.4 | 0.1 | -0.5 | -0.1 | 0.3 | -0.6 | 0.4 | 0.2 | 1.1 | -0.2 | 0.2 | 0.6 |
| 2019 | -0.3 | -0.3 | 0.7 | 0 | 0.2 | 0 | -0.8 | 0.1 | -0.4 | 0.4 | 0.2 | 0.2 | 0 |
| 2020 | -0.1 | -0.8 | -1.6 | -1.3 | 0.4 | 0.3 | -0.4 | 0.4 | 0.4 | -0.2 | 0.7 | 0 | -2.2 |
| 2021 | 0.1 | 0.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-05-06 20.2 SPY 92.1 0.0173 0.0544 0.102 0.106 -0.351 -0.299 -0.178 GLD 89.5 0.0146 0.0137
2 2009-05-07 20.3 SPY 90.9 -0.0139 0.0394 0.113 0.0744 -0.349 -0.314 -0.194 GLD 89.4 -0.0011 0.0249
3 2009-05-08 20.6 SPY 93.0 0.0233 0.0579 0.127 0.069 -0.332 -0.298 -0.168 GLD 90.0 0.006 0.0348
4 2009-05-11 20.3 SPY 91.2 -0.0187 0.004 0.0633 0.0475 -0.343 -0.312 -0.170 GLD 89.7 -0.0032 0.0118
5 2009-05-12 20.3 SPY 91.0 -0.003 0.0044 0.0599 0.0946 -0.352 -0.314 -0.164 GLD 90.7 0.0113 0.0278
6 2009-05-13 20.1 SPY 88.7 -0.0252 -0.0376 0.0513 0.0608 -0.369 -0.323 -0.192 GLD 91.1 0.0043 0.0173
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
